Now, start a regular SSH session with Agent Forwarding enabled first, and leave that session running in the background.
After that, start X2GoClient and connect to your session.
You should now be able to use the Agent Forwarding created with your regular SSH session from inside your X2Go session.

Inherent problems:

Once you close the SSH session, you will be unable to use the SSH Agent Forwarding for new connections within the X2Go session (existing connections will not be terminated, however).

If you create a new SSH session to the same server after starting the X2Go session, it will overwrite the setting. Again, existing connections will not be affected, but new connections will use the SSH Agent Forwarding set by the latest SSH connection you made, and once you close the latest SSH session, connections will fail.

If you share /home (e.g. via NFS) across different X2Go Servers, this workaround will not work reliably.

There's hope that future versions of X2Go will support SSH Agent Forwarding natively, as a patch to add SSH Agent Forwarding has been submitted to the libssh maintainers in March 2016 - but we will have to wait until that patch makes it into all the major distributions.